Luc Bauwens : Citation Profile


Are you Luc Bauwens?

SKEMA Business School

22

H index

40

i10 index

1967

Citations

RESEARCH PRODUCTION:

47

Articles

150

Papers

1

Books

1

Chapters

RESEARCH ACTIVITY:

   33 years (1983 - 2016). See details.
   Cites by year: 59
   Journals where Luc Bauwens has often published
   Relations with other researchers
   Recent citing documents: 143.    Total self citations: 54 (2.67 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba4
   Updated: 2017-03-25    RAS profile: 2016-07-28    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Storti, Giuseppe (2)

Wang, Cindy Shin-huei (2)

Otranto, Edoardo (2)

hsiao, cheng (2)

Braione, Manuela (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Luc Bauwens.

Is cited by:

McAleer, Michael (72)

Caporin, Massimiliano (46)

Rombouts, Jeroen (35)

Maheu, John (29)

Hautsch, Nikolaus (27)

Hafner, Christian (27)

Stentoft, Lars (26)

Asai, Manabu (26)

Lucas, André (21)

van Dijk, Herman (21)

Haas, Markus (19)

Cites to:

Engle, Robert (66)

Bollerslev, Tim (34)

Rombouts, Jeroen (29)

Jasiak, Joann (19)

Andersen, Torben (16)

Teräsvirta, Timo (15)

Laurent, Sébastien (14)

Diebold, Francis (14)

van Dijk, Herman (13)

Haas, Markus (12)

gourieroux, christian (12)

Main data


Where Luc Bauwens has published?


Journals with more than one article published# docs
Journal of Econometrics10
Computational Statistics & Data Analysis5
Empirical Economics3
Annals of Economics and Statistics3
Econometrics Journal3
Journal of Applied Econometrics2
Journal of Business & Economic Statistics2
International Journal of Forecasting2
Journal of Applied Econometrics2
Econometric Reviews2
Journal of Empirical Finance2
European Economic Review2

Working Papers Series with more than one paper published# docs
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques11
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute5
Discussion Papers (REL - Recherches Economiques de Louvain) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany2
Computing in Economics and Finance 2002 / Society for Computational Economics2
Tinbergen Institute Discussion Papers / Tinbergen Institute2
UC3M Working papers. Economics / Universidad Carlos III de Madrid. Departamento de Economa2

Recent works citing Luc Bauwens (2017 and 2016)


YearTitle of citing document
2016State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models. (2016). Uzeda, Luis . In: ANU Working Papers in Economics and Econometrics. RePEc:acb:cbeeco:2016-632.

Full description at Econpapers || Download paper

2016Price duration versus trading volume in high-frequency data for selected DAX companies. (2016). Gurgul, Henryk ; Syrek, Robert ; Mitterer, Christoph . In: Managerial Economics. RePEc:agh:journl:v:17:y:2016:i:2:p:241-260.

Full description at Econpapers || Download paper

2016PRICE VOLATILITY TRANSMISSION FROM OIL TO ENERGY AND NON-ENERGY AGRICULTURAL COMMODITIES. (2016). Bittencourt, Mauricio ; Lobo, Mauricio Vaz ; Borges, Leonardo Chaves . In: Anais do XLII Encontro Nacional de Economia [Proceedings of the 42ndd Brazilian Economics Meeting]. RePEc:anp:en2014:181.

Full description at Econpapers || Download paper

2016Portfolio Optimisation Under Flexible Dynamic Dependence Modelling. (2016). Catania, Leopoldo ; Bernardi, Mauro . In: Papers. RePEc:arx:papers:1601.05199.

Full description at Econpapers || Download paper

2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

Full description at Econpapers || Download paper

2016What does past correlation structure tell us about the future? An answer from network filtering. (2016). di Matteo, Tiziana ; Aste, Tomaso . In: Papers. RePEc:arx:papers:1605.08908.

Full description at Econpapers || Download paper

2016On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: Papers. RePEc:arx:papers:1606.02045.

Full description at Econpapers || Download paper

2016Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets. (2016). Laurini, Márcio ; Aiube, Fernando Antonio ; Lucena, Fernando Antonio ; Mauad, Roberto Baltieri . In: Working Papers Series. RePEc:bcb:wpaper:415.

Full description at Econpapers || Download paper

2016Macroeconomic forecasting and structural changes in steady states. (2016). Louzis, Dimitrios. In: Working Papers. RePEc:bog:wpaper:204.

Full description at Econpapers || Download paper

2016Structural changes in inflation dynamics: multiple breaks at different dates for different parameters. (2016). Eo, Yunjong. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:211-231:n:6.

Full description at Econpapers || Download paper

2016Estimating stochastic volatility models using realized measures. (2016). Jeremias, Bekierman ; Bastian, Gribisch . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:3:p:279-300:n:3.

Full description at Econpapers || Download paper

2016Contagion in International Stock and Currency Markets During Recent Crisis Episodes. (2016). Tuteja, Divya ; Dua, Pami. In: Working papers. RePEc:cde:cdewps:258.

Full description at Econpapers || Download paper

2016Volatility and a Century of Energy Markets Dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Working Papers. RePEc:clg:wpaper:2016-29.

Full description at Econpapers || Download paper

2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

Full description at Econpapers || Download paper

2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Augustyniak, Maciej ; Dufays, Arnaud ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

Full description at Econpapers || Download paper

2016Forecasting Macroeconomic Variables under Model Instability. (2016). Pettenuzzo, Davide ; Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11355.

Full description at Econpapers || Download paper

2016Are migrants more productive than stayers? Some evidence for a set of highly productive academic economists. (2016). Ruiz-Castillo, Javier ; carrasco, raquel ; Albarran, Pedro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23424.

Full description at Econpapers || Download paper

2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

Full description at Econpapers || Download paper

2016Modelling and Forecasting with Financial Duration Data Using Non-linear Model. (2016). Kok-Haur, NG ; Ah-Hin, Pooi ; Huei-Ching, Soo . In: ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH. RePEc:cys:ecocyb:v:50:y:2016:i:2:p:79-92.

Full description at Econpapers || Download paper

2016Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-27.

Full description at Econpapers || Download paper

2016Forecasting volatility of wind power production. (2016). Ritter, Matthias ; Shen, Zhiwei . In: Applied Energy. RePEc:eee:appene:v:176:y:2016:i:c:p:295-308.

Full description at Econpapers || Download paper

2016The implications of monetary expansion in China for the US dollar. (2016). Vespignani, Joaquin ; Ratti, Ronald ; Kang, Wensheng . In: Journal of Asian Economics. RePEc:eee:asieco:v:46:y:2016:i:c:p:71-84.

Full description at Econpapers || Download paper

2016The uncertainty of conditional returns, volatilities and correlations in DCC models. (2016). Ruiz, Esther ; Fresoli, Diego E. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:170-185.

Full description at Econpapers || Download paper

2016On conditional covariance modelling: An approach using state space models. (2016). Hendrych, R ; Cipra, T. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:304-317.

Full description at Econpapers || Download paper

2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

Full description at Econpapers || Download paper

2016Efficient Gibbs sampling for Markov switching GARCH models. (2016). Billio, Monica ; Casarin, Roberto . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:37-57.

Full description at Econpapers || Download paper

2016Semiparametric score driven volatility models. (2016). Lucas, André ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

Full description at Econpapers || Download paper

2016Estimation and inference in univariate and multivariate log-GARCH-X models when the conditional density is unknown. (2016). Sucarrat, Genaro ; Escribano, Alvaro ; Gronneberg, Steffen . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:582-594.

Full description at Econpapers || Download paper

2016Dynamic equicorrelation stochastic volatility. (2016). Omori, Yasuhiro ; Kurose, Yuta . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:795-813.

Full description at Econpapers || Download paper

2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Ausin, Concepcion M ; Virbickait, Audron ; Galeano, Pedro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

Full description at Econpapers || Download paper

2016Income inequality decomposition using a finite mixture of log-normal distributions: A Bayesian approach. (2016). Lubrano, Michel ; Junior, Abdoul Aziz . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:830-846.

Full description at Econpapers || Download paper

2016Fast computation of the deviance information criterion for latent variable models. (2016). Grant, Angelia ; Chan, Joshua. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:847-859.

Full description at Econpapers || Download paper

2016Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598.

Full description at Econpapers || Download paper

2016A dead-end tunnel or the light at the end of it: The role of BRICs in European exports. (2016). Zeidan, Rodrigo ; Fedoseeva, Svetlana. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:237-248.

Full description at Econpapers || Download paper

2016Financial crises and dynamic linkages across international stock and currency markets. (2016). Tuteja, Divya ; Dua, Pami. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:249-261.

Full description at Econpapers || Download paper

2017Parameter instability, stochastic volatility and estimation based on simulated likelihood: Evidence from the crude oil market. (2017). Nonejad, Nima . In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:388-408.

Full description at Econpapers || Download paper

2016Particle efficient importance sampling. (2016). Scharth, Marcel ; Kohn, Robert . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:133-147.

Full description at Econpapers || Download paper

2016Patent propensity, R&D and market competition: Dynamic spillovers of innovation leaders and followers. (2016). Escribano, Alvaro ; Blazsek, Szabolcs. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:145-163.

Full description at Econpapers || Download paper

2016Inference in VARs with conditional heteroskedasticity of unknown form. (2016). Trenkler, Carsten ; Jentsch, Carsten ; Bruggemann, Ralf . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:69-85.

Full description at Econpapers || Download paper

2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

Full description at Econpapers || Download paper

2016Structural analysis with Multivariate Autoregressive Index models. (2016). Marcellino, Massimiliano ; Carriero, Andrea ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:332-348.

Full description at Econpapers || Download paper

2016Striated Metropolis–Hastings sampler for high-dimensional models. (2016). Zha, Tao ; Waggoner, Daniel ; Wu, Hongwei . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:406-420.

Full description at Econpapers || Download paper

2016Testing for Granger causality in large mixed-frequency VARs. (2016). Smeekes, Stephan ; Hecq, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:2:p:418-432.

Full description at Econpapers || Download paper

2016Modeling covariance breakdowns in multivariate GARCH. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:1-23.

Full description at Econpapers || Download paper

2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Laurent, Sébastien ; Quaedvlieg, Rogier ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

Full description at Econpapers || Download paper

2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

Full description at Econpapers || Download paper

2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

Full description at Econpapers || Download paper

2016Monitoring multivariate variance changes. (2016). Pape, Katharina ; Galeano, Pedro ; Wied, Dominik . In: Journal of Empirical Finance. RePEc:eee:empfin:v:39:y:2016:i:pa:p:54-68.

Full description at Econpapers || Download paper

2017Dynamic cross-autocorrelation in stock returns. (2017). Kinnunen, Jyri . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:162-173.

Full description at Econpapers || Download paper

2016Volatility linkages between energy and agricultural commodity prices. (2016). Schulz, Franziska ; López Cabrera, Brenda. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:190-203.

Full description at Econpapers || Download paper

2016Hedging emerging market stock prices with oil, gold, VIX, and bonds: A comparison between DCC, ADCC and GO-GARCH. (2016). Basher, Syed ; Sadorsky, Perry . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:235-247.

Full description at Econpapers || Download paper

2016Market-specific news and its impact on forward premia on electricity markets. (2016). Lazarczyk, Ewa. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:326-336.

Full description at Econpapers || Download paper

2016Volatility and a century of energy markets dynamics. (2016). Serletis, Apostolos ; Xu, Libo . In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:1-9.

Full description at Econpapers || Download paper

2016Changes in the global oil market. (2016). Osborn, Denise ; Bataa, Erdenebat ; Izzeldin, Marwan . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:161-176.

Full description at Econpapers || Download paper

2016Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis. (2016). Hasanov, Akram Shavkatovich ; Shaiban, Mohammed Sharaf ; Do, Hung Xuan . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:16-27.

Full description at Econpapers || Download paper

2017Oil prices and stock markets: Does the effect of uncertainty change over time?. (2017). Park, Sung Y. ; Joo, Young C. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:42-51.

Full description at Econpapers || Download paper

2016Multivariate FIAPARCH modelling of financial markets with dynamic correlations in times of crisis. (2016). Karanasos, Menelaos ; Karoglou, Michail ; Yfanti, Stavroula . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:332-349.

Full description at Econpapers || Download paper

2016Stock market risk in the financial crisis. (2016). Grout, Paul ; Zalewska, Anna . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:326-345.

Full description at Econpapers || Download paper

2016Will the crisis “tear us apart”? Evidence from the EU. (2016). Pappas, Vasileios ; Steele, Gerry ; Izzeldin, Marwan . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:346-360.

Full description at Econpapers || Download paper

2016Dynamic conditional copula correlation and optimal hedge ratios with currency futures. (2016). Kotkatvuori-ornberg, Juha . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:60-69.

Full description at Econpapers || Download paper

2016On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

Full description at Econpapers || Download paper

2016Model risk of risk models. (2016). Danielsson, Jon ; Zer, Ilknur ; Valenzuela, Marcela ; James, Kevin R. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:79-91.

Full description at Econpapers || Download paper

2016Determinants of time varying co-movements among international stock markets during crisis and non-crisis periods. (2016). Muradoglu, Yaz ; Mobarek, Asma ; Jun, AI ; Mollah, Sabur . In: Journal of Financial Stability. RePEc:eee:finsta:v:24:y:2016:i:c:p:1-11.

Full description at Econpapers || Download paper

2016Comparing the financial performance of timber REITs and other REITs. (2016). Piao, Xiaorui ; Xue, Yuan ; Mei, Bin . In: Forest Policy and Economics. RePEc:eee:forpol:v:72:y:2016:i:c:p:115-121.

Full description at Econpapers || Download paper

2016Nondeterministic ranking of university departments. (2016). Bonaccorsi, Andrea ; Cicero, Tindaro . In: Journal of Informetrics. RePEc:eee:infome:v:10:y:2016:i:1:p:224-237.

Full description at Econpapers || Download paper

2016Institutional investment, equity volume and volatility spillover: Causalities and asymmetries. (2016). Chakraborty, Sandip ; Kakani, Ram Kumar . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:1-20.

Full description at Econpapers || Download paper

2016The sign switch effect of macroeconomic news in foreign exchange markets. (2016). ben Omrane, Walid ; Savaer, Tanseli . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:96-114.

Full description at Econpapers || Download paper

2016Forecasting crude oil market volatility: A Markov switching multifractal volatility approach. (2016). Wang, Yudong ; Yang, LI ; Wu, Chongfeng . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:1:p:1-9.

Full description at Econpapers || Download paper

2016Multivariate moments expansion density: Application of the dynamic equicorrelation model. (2016). Iguez, Trino-Manuel ; Perote, Javier . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s216-s232.

Full description at Econpapers || Download paper

2016Between the hammer and the anvil: The impact of economic sanctions and oil prices on Russia’s ruble. (2016). Ulbricht, Dirk ; Kholodilin, Konstantin ; Fidrmuc, Jarko ; Dreger, Christian. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:44:y:2016:i:2:p:295-308.

Full description at Econpapers || Download paper

2017Auction guarantees for works of art. (2017). Graddy, Kathryn ; Hamilton, Jonathan . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:133:y:2017:i:c:p:303-312.

Full description at Econpapers || Download paper

2016Commodity returns co-movements: Fundamentals or “style” effect?. (2016). Moussa, Zakaria ; Darné, Olivier ; Darne, Olivier ; Charlot, Philippe . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:130-160.

Full description at Econpapers || Download paper

2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

Full description at Econpapers || Download paper

2016Modeling volatility using state space models with heavy tailed distributions. (2016). de Pinho, Frank M ; Franco, Glaura C ; Silva, Ralph S. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:119:y:2016:i:c:p:108-127.

Full description at Econpapers || Download paper

2016The informative role of trading volume in an expanding spot and futures market. (2016). Bhaumik, Sumon ; Karanasos, M ; Kartsaklas, A. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:35:y:2016:i:c:p:24-40.

Full description at Econpapers || Download paper

2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

Full description at Econpapers || Download paper

2016Pinning down an effective measure for probability of informed trading. (2016). Wee, Marvin ; Petchey, James ; Yang, Joey . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pb:p:456-475.

Full description at Econpapers || Download paper

2016Modelling volatility recurrence intervals in the Chinese commodity futures market. (2016). Zhou, Weijie ; Guo, Haiming ; Wang, Zhengxin . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:457:y:2016:i:c:p:514-525.

Full description at Econpapers || Download paper

2017Analysis of the efficiency–integration nexus of Japanese stock market. (2017). Aun, Syed ; Arshad, Shaista . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:470:y:2017:i:c:p:296-308.

Full description at Econpapers || Download paper

2017Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach. (2017). Liu, Zhixue ; Gu, Huaying ; Weng, Yingliang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:471:y:2017:i:c:p:460-472.

Full description at Econpapers || Download paper

2016Hedging bank market risk with futures and forwards. (2016). Mun, Kyung-Chun . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:112-125.

Full description at Econpapers || Download paper

2016BRIC or CBRI: It just doesn’t sound as sexy, does it?. (2016). Delcoure, Natalya ; Singh, Harmeet . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:230-239.

Full description at Econpapers || Download paper

2016What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads. (2016). Cui, Jin ; Maharaj, Elizabeth Ann ; In, Francis . In: International Review of Economics & Finance. RePEc:eee:reveco:v:45:y:2016:i:c:p:358-375.

Full description at Econpapers || Download paper

2017Volatility Spillovers from Australias major trading partners across the GFC. (2017). Powell, Robert ; McAleer, Michael ; Singh, Abhay K ; Allen, David E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:159-175.

Full description at Econpapers || Download paper

2016Return and volatility interdependences in up and down markets across developed and emerging countries. (2016). Kundu, Srikanta ; Sarkar, Nityananda . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:297-311.

Full description at Econpapers || Download paper

2016Does national culture affect the intensity of volatility linkages in international equity markets?. (2016). Wu, Eliza ; Rothonis, Stephanie ; Tran, Duy . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:85-95.

Full description at Econpapers || Download paper

2016An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries. (2016). Yavas, Burhan F ; Dedi, Lidija . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:583-596.

Full description at Econpapers || Download paper

2016Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. (2016). Chkili, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:22-34.

Full description at Econpapers || Download paper

2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

Full description at Econpapers || Download paper

2016A time-varying long run HEAVY model. (2016). Braione, Manuela . In: Statistics & Probability Letters. RePEc:eee:stapro:v:119:y:2016:i:c:p:36-44.

Full description at Econpapers || Download paper

2016Estimation of Multivariate Stochastic Volatility Models: A Comparative Monte Carlo Study. (2016). Eratalay, Mustafa. In: International Econometric Review (IER). RePEc:erh:journl:v:8:y:2016:i:2:p:19-52.

Full description at Econpapers || Download paper

2017Mapping the stocks in MICEX: Who is central in Moscow Stock Exchange?. (2017). Eratalay, Mustafa ; Vladimirov, Evgenii . In: EUSP Department of Economics Working Paper Series. RePEc:eus:wpaper:ec0117.

Full description at Econpapers || Download paper

2016Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets. (2016). Lach, Łukasz ; Gurgul, Henryk ; Wojtowicz, Tomasz . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:5:p:405-425.

Full description at Econpapers || Download paper

2016Evolutionary Sequential Monte Carlo Samplers for Change-Point Models. (2016). Dufays, Arnaud . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:12-:d:65253.

Full description at Econpapers || Download paper

2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Scholtes, Nicolas ; Braione, Manuela . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3-:d:61992.

Full description at Econpapers || Download paper

2016Forecasting Value-at-Risk under Different Distributional Assumptions. (2016). Braione, Manuela ; Scholtes, Nicolas K. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:3:d:61992.

Full description at Econpapers || Download paper

2016Portfolios Dominating Indices: Optimization with Second-Order Stochastic Dominance Constraints vs. Minimum and Mean Variance Portfolios. (2016). Keeci, Neslihan Fidan ; Uryasev, Stan ; Kuzmenko, Viktor . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:9:y:2016:i:4:p:11-:d:79820.

Full description at Econpapers || Download paper

2016Modeling Financial Market Volatility in Transition Markets: A Multivariate Case. (2016). Oikonomikou, Leoni Eleni. In: Courant Research Centre: Poverty, Equity and Growth - Discussion Papers. RePEc:got:gotcrc:204.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Gatfaoui, Hayette ; Billio, Monica ; de Peretti, Philippe ; Frattarolo, Lorenzo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01339826.

Full description at Econpapers || Download paper

2016Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone. (2016). Billio, Monica ; de Peretti, Philippe ; Gatfaoui, Hayette ; Frattarolo, Lorenzo . In: Post-Print. RePEc:hal:journl:halshs-01339826.

Full description at Econpapers || Download paper

2016Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets. (2016). Lunina, Veronika ; Nilsson, Birger ; Larsson, Karl ; Green, Rikard . In: Working Papers. RePEc:hhs:lunewp:2016_002.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Luc Bauwens:


YearTitleTypeCited
2011Marginal Likelihood for Markov-switching and Change-point Garch Models In: CREATES Research Papers.
[Full Text][Citation analysis]
paper24
2011Marginal Likelihood for Markov-Switching and Change-Point Garch Models.(2011) In: CIRANO Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2011Marginal likelihood for Markov-switching and change-point GARCH models.(2011) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2014Marginal likelihood for Markov-switching and change-point GARCH models.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
article
2011Marginal Likelihood for Markov-Switching and Change-Point GARCH Models.(2011) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
1991Bayesian Diagnostics for Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
Bayesian diagnostics for heterogeneity.() In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
1991The pathologie of the Natural Conjugate Prior Density in the Regression Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
1990THE PATHOLOGY OF THE NATURAL CONJUGATE PRIOR DENSITY IN THE REGRESSION MODEL..(1990) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article17
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.() In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
1994Estimating End-Use Demand: A Bayesian Approach. In: Journal of Business & Economic Statistics.
[Citation analysis]
article13
1992Estimating End-Use Demand : A Bayesian Approach.(1992) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
0Estimating End-use Demand: a Bayesian Approach.(0) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
1992Estimating end-use demand: A Bayesian approach.(1992) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2005A New Class of Multivariate Skew Densities, With Application to Generalized Autoregressive Conditional Heteroscedasticity Models In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article60
A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 60
paper
2006REGIME SWITCHING GARCH MODELS In: Working Papers.
[Full Text][Citation analysis]
paper12
2006Regime switching GARCH models.(2006) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2006Regime switching GARCH models.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2006Regime switching GARCH models.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2009A Component GARCH Model with Time Varying Weights In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article20
2007A component GARCH model with time varying weights.(2007) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
A component GARCH model with time varying weights.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2007A Component GARCH Model with Time Varying Weights.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
paper
2006A component GARCH model with time varying weights.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 20
paper
2011The Resistible Decline of European Science In: Recherches économiques de Louvain.
[Full Text][Citation analysis]
article7
2007The resistible decline of European science.(2007) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
The resistible decline of European Science.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2008The Resistible Decline of European Science.(2008) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011The Resistible Decline of European Science.(2011) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011The resistible decline of European science.(2011) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2011A Comparison of Forecasting Procedures For Macroeconomic Series: The Contribution of Structural Break Models In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper25
2011A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models.(2011) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2011A Comparison Of Forecasting Procedures For Macroeconomic Series: The Contribution Of Structural Break Models.(2011) In: SIRE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2011A Comparison of Forecasting Procedures for Macroeconomic Series: the Contribution of Structural Break Models.(2011) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2011The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2011) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2011A comparison of Forecasting Procedures for Macroeconomic Series: The Contribution of Structural Break Models.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2015The Contribution of Structural Break Models to Forecasting Macroeconomic Series.(2015) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
article
2013Modeling the Dependence of Conditional Correlations on Volatility In: Working Paper CRENoS.
[Full Text][Citation analysis]
paper10
2013Modeling the dependence of conditional correlations on volatility.(2013) In: CORE Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
1987Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods. In: CORE Discussion Papers.
[Citation analysis]
paper27
Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
1988Bayesian specification analysis and estimation of simultaneous equation models using Monte Carlo methods.(1988) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
1992Approximate HPD regions for testing residual autocorrelation using augmented regressions In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
0Approximate HPD regions for testing residual autocorrelation using augmented regressions.(0) In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1994Identification Restrictions and Posterior Densities in Cointegrated Gaussian VAR Systems In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper18
Identification restrictions and posterior densities in cointegrated Gaussian VAR system.() In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 18
paper
1994Do Art Experts make Rational Estimates of Pre-Sale Prices ? In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
1995On the Weak Consistency of the Quasi-Maximum Likelihood Estimator in VAR Models with BEKK-GARCH(1,q) Errors In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
1996Bayesian Inference on GARCH Models using the Gibbs Sampler In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper69
Bayesian inference on GARCH models using the Gibbs sampler.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
1998Bayesian inference on GARCH models using the Gibbs sampler.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has another version. Agregated cites: 69
article
1996Bayesian Inference on GARCH Models Using the Gibbs Sampler..(1996) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 69
paper
1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper4
Gibbs sampling approach to cointegration.() In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1997Bayesian option pricing using asymmetric GARCH In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper2
1997Bayesian Option Pricing Using Asymmetric GARCH.(1997) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
1997Modelling interest rates with a cointegrated VAR-GARCH model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper1
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper3
1999Adaptive polar sampling with an application to a Bayes measure of value-at-risk In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper4
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2000ADAPTIVE POLAR SAMPLING WITH AN APPLICATION TO A BAYES MEASURE OF VALUE-AT-RISK.(2000) In: Computing in Economics and Finance 2000.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1999Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk.(1999) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1999The stochastic conditional duration model: a latent factor model for the analysis of financial durations In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper59
2004The stochastic conditional duration model: a latent factor model for the analysis of financial durations.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 59
paper
2000Identifying long-run behaviour with non-stationary data. In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper88
A comparison of financial duration models via density forecasts.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 88
article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 88
paper
2002A new class of multivariate skew densities, with application to GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper33
2002A New Class of Multivariate skew Densities, with Application to GARCH Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 33
paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper17
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper69
News announcements, market activity and volatility in the euro/dollar foreign exchange market.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
article
2003Multivariate GARCH models: a survey In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper595
Multivariate GARCH models: a survey.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 595
paper
2006Multivariate GARCH models: a survey.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 595
article
2003Ranking economics departments in Europe: a statistical approach In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper73
Ranking economics departments in Europe: a statistical approach.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
paper
2003Ranking Economics Departments in Europe: A Statistical Approach.(2003) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 73
article
2003Bayesian clustering of many GARCH models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper15
1916Bayesian clustering of many GARCH models.(1916) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2007Bayesian Clustering of Many Garch Models.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
2003Dynamic latent factor models for intensity processes In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper12
2005Exchange rate volatility and the mixture of distribution hypothesis In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper16
Exchange rate volatility and the mixture of distribution hypothesis.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2005Exchange Rate Volatility and the Mixture of Distribution Hypothesis.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2006Exchange rate volatility and the mixture of distribution hypothesis.(2006) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2005Bayesian inference for the mixed conditional heteroskedasticity model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper10
1931Bayesian inference for the mixed conditional heteroskedasticity model.(1931) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2005Bayesian inference for the mixed conditional heteroskedasticity model.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2007Bayesian inference for the mixed conditional heteroskedasticity model.(2007) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2006Bayesian inference for the mixed conditional heteroskedasticity model.(2006) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2006Intra-daily FX optimal portfolio allocation In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper2
2006Intra-Daily FX Optimal Portfolio Allocation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Multivariate mixed normal conditional heteroskedasticity In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper26
1906Multivariate mixed normal conditional heteroskedasticity.(1906) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2006Multivariate mixed normal conditional heteroskedasticity.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
2007Multivariate mixed normal conditional heteroskedasticity.(2007) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
2006General to specific modelling of exchange rate volatility: a forecast evaluation In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper13
General-to-specific modelling of exchange rate volatility: a forecast evaluation.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2008General to specific modelling of exchange rate volatility : a forecast evaluation.(2008) In: UC3M Working papers. Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2006General to Specific Modelling of Exchange Rate Volatility : a Forecast Evaluation.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2010General-to-specific modelling of exchange rate volatility: A forecast evaluation.(2010) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2006Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
1918Bayesian inference in dynamic disequilibrium models: an application to the Polish credit market.(1918) In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2006Bayesian Inference in Dynamic Disequilibrium Models : an Application to the Polish Credit Market.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market.(2007) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2006Modelling financial high frequency data using point processes In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper11
Modelling financial high frequency data using point processes.() In: CORE Discussion Papers RP.
[Citation analysis]
This paper has another version. Agregated cites: 11
paper
2007Modelling Financial High Frequency Data Using Point Processes.(2007) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2006Modelling Financial High Frequency Data Using Point Processes.(2006) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2007Efficient importance sampling for ML estimation of SCD models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper17
2007Efficient importance sampling for ML estimation of SCD models.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
paper
2009Efficient importance sampling for ML estimation of SCD models.(2009) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17
article
2007Theory and inference for a Markov switching GARCH model In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper29
Theory and inference for a Markov switching Garch model.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2007Theory and inference for a Markov switching GARCH model.(2007) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2010Theory and inference for a Markov switching GARCH model.(2010) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
article
2007Theory and inference for a Markov switching Garch model..(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2007Theory and Inference for a Markov-Switching GARCH Model.(2007) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2009On marginal likelihood computation in change-point models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
On marginal likelihood computation in change-point models.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2012On marginal likelihood computation in change-point models.(2012) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2009On Marginal Likelihood Computation in Change-point Models.(2009) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2011Multivariate volatility modeling of electricity futures In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper27
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2011Estimating and forecasting structural breaks in financial time series In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
2011Volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper20
2011Bayesian methods In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper1
2013Bayesian methods.(2013) In: Chapters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
chapter
2012Computationally efficient inference procedures for vast dimensional realized covariance models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper1
Computationally efficient inference procedures for vast dimensional realized covariance models.() In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2012Forecasting long memory processes subject to structural breaks In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
2012Dynamic conditional correlation models for realized covariance matrices In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
2014Estimation and empirical performance of non-scalar dynamic conditional correlation models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper1
2016Estimation and empirical performance of non-scalar dynamic conditional correlation models.(2016) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2014Forecasting comparison of long term component dynamic models for realized covariance matrices In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper4
2015Autoregressive moving average infinite hidden markov-switching models In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper5
2016A dynamic component model for forecasting high-dimensional realized covariance matrices In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper1
Bayesian and classical econometric modeling of time series In: CORE Discussion Papers RP.
[Citation analysis]
paper0
Editors introduction. First Riverboat conference on Bayesian econometrics and statistics In: CORE Discussion Papers RP.
[Citation analysis]
paper0
Trends and breaking points in the Bayesian econometric literature In: CORE Discussion Papers RP.
[Citation analysis]
paper0
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: CORE Discussion Papers RP.
[Citation analysis]
paper0
Art experts and auctions are pre-sale estimates unbiased and fully informative? In: CORE Discussion Papers RP.
[Citation analysis]
paper23
2000Art experts and auctions Are pre-sale estimates unbiased and fully informative?.(2000) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2000Art experts and auctions :are pre-sale estimates unbiased and fully informative.(2000) In: ULB Institutional Repository.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
Bayesian option pricing using asymmetric GARCH models In: CORE Discussion Papers RP.
[Citation analysis]
paper15
2002Bayesian option pricing using asymmetric GARCH models.(2002) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
article
2000Bayesian Option Pricing using Asymmetric Garch Models..(2000) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
Asymmetric ACD models: Introducing price information in ACD models In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper38
2003Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
article
The stochastic conditional duration model: a latent variable model for the analysis of financial durations In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper67
2004The stochastic conditional duration model: a latent variable model for the analysis of financial durations.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 67
article
Econometrics In: CORE Discussion Papers RP.
[Citation analysis]
paper26
2004Econometrics.(2004) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
paper
Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper11
2003Adaptive radial-based direction sampling; Some flexible and robust Monte Carlo integration methods.(2003) In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
paper
2004Adaptive radial-based direction sampling: some flexible and robust Monte Carlo integration methods.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
Econometric analysis of intra-daily trading activity on the Tokyo Stock Exchange In: CORE Discussion Papers RP.
[Citation analysis]
paper2
2006Econometric Analysis of Intra-daily Trading Activity on the Tokyo Stock Exchange.(2006) In: Monetary and Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
1937Stochastic conditional intensity processes In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper37
2006Stochastic Conditional Intensity Processes.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37
article
An export model for the Belgian industry In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper1
1983An export model for the Belgian industry.(1983) In: European Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
Posterior moments of elasticities between real wages and unemployment in Belgium: an application of Bayesian inference by Monte Carlo integration In: CORE Discussion Papers RP.
[Citation analysis]
paper0
1983Posterior moments of elasticities between real wages and unemployment in Belgium : an application of Bayesian inference by Monte Carlo integration.(1983) In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
A 1-1 poly-t random variable generator with application to Monte Carlo integration In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper5
1985A 1-1 poly-t random variable generator with application to Monte Carlo integration.(1985) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
The law of large (small?) numbers and the demand for insurance In: CORE Discussion Papers RP.
[Citation analysis]
paper0
1990THE LAW OF LARGE (SMALL?) NUMBERS AND THE DEMAND FOR INSURANCE..(1990) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1987Intra-industry Specialisation in a Multi-country and Multi-industry Framework. In: Economic Journal.
[Full Text][Citation analysis]
article58
2004BAYESIAN CLUSTERING OF SIMILAR MULTIVARIATE GARCH MODELS In: Econometric Society 2004 North American Winter Meetings.
[Full Text][Citation analysis]
paper0
2010Intradaily dynamic portfolio selection In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2004Recent advances in Bayesian econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2006Causality and exogeneity in econometrics In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
2013Forecasting a long memory process subject to structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]
article5
1995Editors introduction Bayesian and classical econometric modeling of time series In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1996Editors introduction In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
1988The determinants of intra-European trade in manufactured goods In: European Economic Review.
[Full Text][Citation analysis]
article10
2014A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article2
2003Explaining Adaptive Radial-Based Direction Sampling In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper0
1998Adaptive polar sampling: a new MC technique for the analysis of ill behaved surfaces In: Econometric Institute Research Papers.
[Citation analysis]
paper0
1998Adaptive Polar Sampling: A New MC Technique for the Analysis of Ill-behaved Surfaces.(1998) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2002Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods In: Econometric Institute Research Papers.
[Full Text][Citation analysis]
paper2
2007The Econometrics of Industrial Organization In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article1
2000Bayesian Inference in Dynamic Econometric Models In: OUP Catalogue.
[Citation analysis]
book117
1987Théorie de l’information et diagnostic médical : une analyse coût-efficacité In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2002Adaptive Polar Sampling In: Computing in Economics and Finance 2002.
[Citation analysis]
paper4
2006Editor’s introduction In: Empirical Economics.
[Full Text][Citation analysis]
article1
1988Inter-industry and intra-industry specialization in manufactured goods In: Review of World Economics (Weltwirtschaftliches Archiv).
[Full Text][Citation analysis]
article3
2005High frequency finance In: ULB Institutional Repository.
[Citation analysis]
paper7
2007High frequency financial econometrics. Recent developments In: ULB Institutional Repository.
[Citation analysis]
paper35

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 1 2017. Contact: CitEc Team